Anal masturbation and engaging in anal pleasure during sexual activity is relatively normal. Whether it's a finger, a penis, a dildo, or a flashlight.

I would recommend avoiding the use of any "homemade" dildos though: these items often are not made of materials that avoid bacterial (plastic can be a really good place for bacteria to grow on, and most people don't wash their flashlights!). Getting a silicone, latex, glass, or stainless steel dildo is a lot safter both in terms of material, and in terms of shape. The soft and rounded shapes of typical dildos ensure the least amount of tearing, ripping, and abrasions. All things that you'd want to avoid in such sensitive areas as your anus!

I might also recommend trying an anal plug or anal beads if you enjoy these sensations.

Lube is definitely recommended (my favorite is Pjur Silcone Lube), but I suppose it's not really required. But fiction can be a major cause of abrasions, which is definitely not fun. Some people do find pain to be pleasurable, and far be it from me to say that you cannot enjoy yourself, but it doesn't sound like you are finding enjoyment from this pain, so in your case a high quality water-based lube may be a good idea. This will also help you slide it a bit farther inside if you so desire. But I would really recommend against pushing an inanimate object farther into yourself than you feel comfortable. Typically pain and discomfort is your body's way of saying "stop, something's not right!" and you usually want to listen to it.

Some sites that you might find helpful:
Anal Masturbation | SexInfo101.com
Anal Masturbation Tips
Adult Sex Toys by The Pleasure Chest - Vibrators, Dildos and Sex Toys - My favorite place to shop!